Hi Colleen
@Agoo
I agree with Zoë
@NMoasis, since you have a greenhouse it would be best there over winter while it's small and not established.
I don't know how your white butterfly bush behaves for you. We had 'White Profusion' for decades, and we have had other cultivars but not 'Black Knight'.
Here in zone 6a they were usually killed to the ground in the "normal" winters (some sub-zero in °F). They regrew from below ground. In the occasional global-warming "zone 7+" winters when temperatures did not drop below about 10°F the entire top usually survived and they became woody.
This never lasted enough years to become the shrubby trees like one I saw in Tennessee, and another in Georgia. Here, they reached as high as 7' and almost as wide. Last winter was especially harsh because of a sudden drop to 6°F without adequate time to acclimate. Only one survived. It began as a seedling.
I did have seedlings from several of the cultivars over the years but I wouldn't call them invasive. Their favorite places to volunteer were actually in some of the worst spots. They were especially frequent in limestone-y spots like our driveway and a bed near a retaining wall which has some limestone gravel backfill. Some seedlings actually volunteered and grew in the crevices of the retaining wall blocks!
The database shows 52 members have 'Black Knight'. There are photos from gardens in a wide range of climates including some probably colder and some drier than your 5b in NM, Colleen. So I expect it will do well when established.
Pat